Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0136
Annualized Std Dev 0.0455
Annualized Sharpe (Rf=0%) 0.2993

Row

Daily Return Statistics

Close
Observations 3046.0000
NAs 1.0000
Minimum -0.0345
Quartile 1 -0.0011
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0013
Maximum 0.0484
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0029
Skewness 0.0862
Kurtosis 46.7518

Downside Risk

Close
Semi Deviation 0.0021
Gain Deviation 0.0021
Loss Deviation 0.0025
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0021
Downside Deviation (0%) 0.0021
Maximum Drawdown 0.1494
Historical VaR (95%) -0.0039
Historical ES (95%) -0.0067
Modified VaR (95%) -0.0019
Modified ES (95%) -0.0019
From Trough To Depth Length To Trough Recovery
2020-03-05 2020-03-19 2020-06-10 -0.1494 68 11 57
2009-02-17 2009-03-09 2009-07-21 -0.0821 108 15 93
2012-12-03 2018-12-04 2019-08-05 -0.0642 1679 1513 166
2010-10-14 2011-02-08 2011-08-04 -0.0429 204 81 123
2011-08-11 2011-10-10 2012-02-01 -0.0342 120 42 78

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA 0.8 -0.4 -0.7 -0.5 -0.6 1 -0.2 -0.3 0.4 -0.5 -0.2 -1.2
2010 -0.5 -0.2 -0.3 0.4 -0.1 -0.3 0.2 -0.1 -0.1 -0.5 -1 0.3 -2.1
2011 -0.4 -0.2 0.1 0.2 0 -0.4 0 0.1 0.1 -0.1 -0.1 0.3 -0.4
2012 0.2 -0.3 -0.1 0 -0.3 0.1 -0.2 0.3 -0.1 0 0.2 0 -0.1
2013 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.5 -0.1 -0.5 -0.3 -0.1 -0.2 -2.2
2014 0.1 0.1 -0.3 0 0 -0.3 0.5 0.1 0.2 0.1 -0.3 0 0.2
2015 0.5 0.1 0.1 -0.5 -0.5 -0.3 0.3 -0.1 -0.2 0 0.1 0 -0.5
2016 -0.5 -0.8 -0.1 0.1 -0.3 -0.1 -0.5 -0.2 0 -0.1 -0.4 0.2 -2.5
2017 -0.3 -0.6 0.1 -0.2 -0.2 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 0 -2.1
2018 -0.4 -0.2 0.1 -0.4 -0.4 0.1 -0.4 -0.1 -0.4 -0.2 0 0.2 -1.9
2019 -0.4 -0.3 -0.5 -0.4 0.3 -0.2 0.3 -0.1 -0.1 -0.2 0 0 -1.7
2020 0.2 0.3 -0.8 -0.5 -0.1 0.1 0 0.1 0 -0.2 -0.3 0 -1.1
2021 -0.1 0.1 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-02-11  30.7 SPY    83.6  0.0059    0.0032  -0.0385  -0.0975   -0.381   -0.339   -0.272 GLD    92.3  0.0231   0.0349
2 2009-02-12  30.8 SPY    83.7  0.0007   -0.0108  -0.0396  -0.0681   -0.386   -0.339   -0.279 GLD    93.2  0.0095   0.0338
3 2009-02-13  31.4 SPY    82.8 -0.0108   -0.0485  -0.0191  -0.0357   -0.388   -0.345   -0.284 GLD    92.6 -0.0067   0.033 
4 2009-02-17  31.0 SPY    79.2 -0.0428   -0.0905  -0.0614  -0.131    -0.414   -0.380   -0.312 GLD    95.4  0.0313   0.0807
5 2009-02-18  30.7 SPY    79.0 -0.00240  -0.0491  -0.0709  -0.0876   -0.417   -0.384   -0.320 GLD    96.9  0.0153   0.0743
6 2009-02-19  30.8 SPY    78.2 -0.0107   -0.0648  -0.0297  -0.0853   -0.425   -0.395   -0.324 GLD    95.8 -0.0118   0.0377
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart